Shape key import with unwanted rotation
Everything is working exactly as it should.

When you import an object blender will rotate it so that it lines up with the blender world. The rotation is determined by the import settings Forward and Up.


All you have to do is apply the rotation ( CtrlA > Rotation ) on your imported object before making the shape key.
You will have to remake the shape key, or rotate the mesh in edit mode.
If you use the edit mode option you will want to set the 3D cursor to the original object's origin then set the Pivot Point to 3D cursor ( . ).